Author: Richard MortonPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
On the Optimal Control of Stationary Diffusion Processes with Inaccessible Boundaries and No Discounting ...
Author: Richard MortonOn the Optimal Control of Stationary Diffusion Processes with Natural Boundaries and Discounted Cost ...
Author: Richard MortonDeterministic and Stochastic Optimal Control
Author: Wendell H. FlemingPublisher: Springer Science & Business Media
ISBN: 1461263808
Category : Mathematics
Languages : en
Pages : 231
Book Description
This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.
Stochastic Models in Operations Research: Stochastic optimization
Author: Daniel P. HeymanPublisher: Courier Corporation
ISBN: 9780486432601
Category : Mathematics
Languages : en
Pages : 580
Book Description
This two-volume set of texts explores the central facts and ideas of stochastic processes, illustrating their use in models based on applied and theoretical investigations. They demonstrate the interdependence of three areas of study that usually receive separate treatments: stochastic processes, operating characteristics of stochastic systems, and stochastic optimization. Comprehensive in its scope, they emphasize the practical importance, intellectual stimulation, and mathematical elegance of stochastic models and are intended primarily as graduate-level texts.
Some Structured Problems in the Optimal Control of Diffusions
Author: Allison James TaylorPublisher:
ISBN:
Category : Diffusion processes
Languages : en
Pages : 210
Book Description
On the Optimal Control of Diffusion Processes
Author: Martin Lee PutermanPublisher:
ISBN:
Category : Control theory
Languages : en
Pages : 100
Book Description
The author considers three problems in the optimal control of diffusion processes. The first is that of optimally controlling a diffusion process on a compact interval. The second problem is that of optimally controlling a diffusion process on a bounded subset of Euclidean n-space, with refledtion on the boundary. The last problem arises in controlling a continuous time production process. (Author).
Deterministic and Stochastic Optimal Control
Author: Wendell Helms FlemingPublisher:
ISBN:
Category : Control theory
Languages : en
Pages : 240
Book Description
"The first part of this book presents the essential topics for an introduction to deterministic optimal control theory. The second part introduces stochastic optimal control for Markov diffusion processes. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle"--Publisher description.
Optimal Control of Diffusion Processes
Author: Vivek S. BorkarPublisher: Longman
ISBN:
Category : Control theory
Languages : en
Pages : 212
Book Description
Index of Mathematical Papers
Author: Publisher:
ISBN:
Category : Mathematical reviews
Languages : en
Pages : 568
Book Description
Author: